forked from LengKundee/MQL5-Google-Onedrive
f057813e59
Implemented performance optimizations in `CalculateLots()` by: 1. Pre-calculating the inverse of initial margin (`g_invMarginInitial`) in `OnInit()` to replace division with multiplication. 2. Consolidating the lot normalization and clamping logic into a single path. 3. Moving the margin constraint check before normalization to avoid redundant calculations. This reduces the computational overhead in the trade execution path, which is critical for high-performance EAs. Verified with `ci_validate_repo.py` and `test_automation.py`.
471 lines
19 KiB
MQL5
471 lines
19 KiB
MQL5
//+------------------------------------------------------------------+
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//| SMC_TrendBreakout_MTF_EA.mq5 |
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//| SMC + Trend Breakout (MTF) EA |
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//| BOS/CHoCH + Donchian + Lower-TF Conf |
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//+------------------------------------------------------------------+
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#property copyright "SMC Trend Breakout MTF EA"
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#property link ""
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#property version "1.00"
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#include <Trade\Trade.mqh>
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//--- Input Parameters
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//=== Trading Settings ===
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input bool EnableTrading = true; // Enable Trading
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input int MagicNumber = 123456; // Magic Number
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input string TradeComment = "SMC_TrendBreakout_MTF"; // Trade Comment
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//=== Risk Management ===
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input double RiskPercent = 1.0; // Risk Per Trade (% of equity)
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input double MaxLots = 0.01; // Maximum Lots
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input double MinLots = 0.01; // Minimum Lots
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input bool RiskUseEquity = true; // Use Equity for Risk Calculation
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input bool RiskClampToFreeMargin = true; // Clamp Lots to Free Margin
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//=== Stop Loss Settings ===
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enum ENUM_SL_MODE {
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SL_ATR, // ATR-based SL
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SL_SWING, // Swing-based SL
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SL_FIXED_POINTS // Fixed Points SL
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};
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input ENUM_SL_MODE SLMode = SL_ATR; // Stop Loss Mode
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input double ATR_SL_Mult = 2.0; // ATR SL Multiplier (for SL_ATR)
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input int ATR_Period = 14; // ATR Period
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input int SwingSLBufferPoints = 10; // Swing SL Buffer (points, for SL_SWING)
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input int FixedSLPoints = 50; // Fixed SL Points (for SL_FIXED_POINTS)
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//=== Take Profit Settings ===
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enum ENUM_TP_MODE {
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TP_RR, // Risk:Reward Ratio
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TP_FIXED_POINTS, // Fixed Points TP
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TP_DONCHIAN_WIDTH // Donchian Width TP
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};
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input ENUM_TP_MODE TPMode = TP_RR; // Take Profit Mode
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input double RR = 2.0; // Risk:Reward Ratio (for TP_RR)
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input int FixedTPPoints = 100; // Fixed TP Points (for TP_FIXED_POINTS)
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input double DonchianTP_Mult = 1.5; // Donchian TP Multiplier (for TP_DONCHIAN_WIDTH)
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//=== Donchian Channel Settings ===
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input int DonchianPeriod = 20; // Donchian Period
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input int DonchianShift = 0; // Donchian Shift
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//=== Lower Timeframe Confirmation ===
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input ENUM_TIMEFRAMES LowerTF = PERIOD_M5; // Lower Timeframe for Confirmation
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input int EMA_Fast_Period = 50; // Fast EMA Period (Lower TF)
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input int EMA_Slow_Period = 200; // Slow EMA Period (Lower TF)
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//=== Other Settings ===
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input int Slippage = 30; // Slippage (points)
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input bool ShowAlerts = true; // Show Alerts
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//--- Global Variables
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CTrade trade;
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int atrHandle = INVALID_HANDLE;
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int donchianBandsHandle = INVALID_HANDLE; // Single handle for both upper and lower
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int emaFastHandle = INVALID_HANDLE;
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int emaSlowHandle = INVALID_HANDLE;
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datetime lastBarTime = 0;
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bool positionOpen = false;
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//--- Cached Symbol Properties (for performance)
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// These are initialized once in OnInit() to avoid repeated calls to SymbolInfo...() functions in hot paths.
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double g_point;
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int g_digits;
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double g_minLot;
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double g_maxLot;
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double g_lotStep;
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double g_tickValue;
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double g_tickSize;
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double g_marginInitial;
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double g_invMarginInitial;
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double g_riskMultiplier;
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double g_lotValuePerUnit;
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double g_invLotStep;
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double g_swingSLBuffer;
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double g_fixedSL;
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double g_fixedTP;
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double g_finalMinLot;
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double g_finalMaxLot;
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double g_lotRiskFactor;
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//+------------------------------------------------------------------+
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//| Expert initialization function |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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//--- Set magic number
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trade.SetExpertMagicNumber(MagicNumber);
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trade.SetDeviationInPoints(Slippage);
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trade.SetTypeFilling(ORDER_FILLING_FOK);
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//--- Cache symbol properties for performance
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g_point = SymbolInfoDouble(_Symbol, SYMBOL_POINT);
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g_digits = (int)SymbolInfoInteger(_Symbol, SYMBOL_DIGITS);
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g_minLot = SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_MIN);
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g_maxLot = SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_MAX);
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g_lotStep = SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_STEP);
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g_tickValue = SymbolInfoDouble(_Symbol, SYMBOL_TRADE_TICK_VALUE);
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g_tickSize = SymbolInfoDouble(_Symbol, SYMBOL_TRADE_TICK_SIZE);
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g_marginInitial = SymbolInfoDouble(_Symbol, SYMBOL_MARGIN_INITIAL);
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g_invMarginInitial = (g_marginInitial > 0) ? (1.0 / g_marginInitial) : 0;
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//--- ⚡ Bolt: Pre-calculate lot size constants for performance
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g_riskMultiplier = RiskPercent / 100.0;
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g_lotValuePerUnit = (g_tickSize > 0) ? (g_tickValue / g_tickSize) : 0;
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g_invLotStep = (g_lotStep > 0) ? (1.0 / g_lotStep) : 0;
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g_lotRiskFactor = (g_lotValuePerUnit > 0) ? (g_riskMultiplier / g_lotValuePerUnit) : 0;
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//--- ⚡ Bolt: Pre-calculate SL/TP constants for performance
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g_swingSLBuffer = SwingSLBufferPoints * g_point;
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g_fixedSL = FixedSLPoints * g_point;
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g_fixedTP = FixedTPPoints * g_point;
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//--- ⚡ Bolt: Pre-calculate lot limits for performance
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g_finalMinLot = MathMax(g_minLot, MinLots);
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g_finalMaxLot = MathMin(g_maxLot, MaxLots);
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//--- Initialize indicators
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atrHandle = iATR(_Symbol, _Period, ATR_Period);
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if(atrHandle == INVALID_HANDLE) {
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Print("Error creating ATR indicator");
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return(INIT_FAILED);
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}
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//--- Initialize Donchian Channel (using iBands with 0 deviation)
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// Note: This approximates Donchian. For true Donchian, would need custom indicator
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// iBands(symbol, period, bands_period, bands_shift, deviation, applied_price)
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// Returns one handle, buffers: 0=base line, 1=upper band, 2=lower band
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donchianBandsHandle = iBands(_Symbol, _Period, DonchianPeriod, DonchianShift, 0, PRICE_CLOSE);
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if(donchianBandsHandle == INVALID_HANDLE) {
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Print("Error creating Donchian channel");
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return(INIT_FAILED);
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}
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//--- Initialize Lower TF EMAs (using Moving Average indicator)
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// iMA(symbol, period, ma_period, ma_shift, ma_method, applied_price)
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emaFastHandle = iMA(_Symbol, LowerTF, EMA_Fast_Period, 0, MODE_EMA, PRICE_CLOSE);
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emaSlowHandle = iMA(_Symbol, LowerTF, EMA_Slow_Period, 0, MODE_EMA, PRICE_CLOSE);
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if(emaFastHandle == INVALID_HANDLE || emaSlowHandle == INVALID_HANDLE) {
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Print("Error creating EMA indicators");
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return(INIT_FAILED);
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}
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Print("SMC Trend Breakout MTF EA initialized successfully");
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Print("Account: ", AccountInfoInteger(ACCOUNT_LOGIN));
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Print("Risk Percent: ", RiskPercent, "%");
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Print("Max Lots: ", MaxLots);
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| Expert deinitialization function |
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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//--- Release indicators
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if(atrHandle != INVALID_HANDLE) IndicatorRelease(atrHandle);
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if(donchianBandsHandle != INVALID_HANDLE) IndicatorRelease(donchianBandsHandle);
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if(emaFastHandle != INVALID_HANDLE) IndicatorRelease(emaFastHandle);
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if(emaSlowHandle != INVALID_HANDLE) IndicatorRelease(emaSlowHandle);
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Print("SMC Trend Breakout MTF EA deinitialized");
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}
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//+------------------------------------------------------------------+
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//| Expert tick function |
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//+------------------------------------------------------------------+
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void OnTick()
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{
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//--- Check if trading is enabled
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if(!EnableTrading) return;
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//--- ⚡ Bolt: Performance optimization - check for new bar before expensive operations.
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//--- Using iTime() is much faster than CopyRates() for a simple new bar check.
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datetime currentBarTime = iTime(_Symbol, _Period, 0);
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if(currentBarTime == 0) return; // History not ready
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if(currentBarTime == lastBarTime) return; // Exit if not a new bar
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//--- ⚡ Bolt: Defer terminal state checks until AFTER the new bar check.
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//--- TerminalInfoInteger and MQLInfoInteger are relatively expensive API calls.
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//--- Moving them here avoids thousands of redundant calls per hour on every price tick.
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if(!TerminalInfoInteger(TERMINAL_TRADE_ALLOWED)) {
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Print("AutoTrading is disabled in terminal settings");
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return;
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}
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if(!MQLInfoInteger(MQL_TRADE_ALLOWED)) {
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Print("AutoTrading is disabled in EA settings");
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return;
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}
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//--- ⚡ Bolt: Performance optimization - check if position already open BEFORE fetching data.
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//--- This avoids redundant CopyRates and CopyBuffer calls if we are already in a trade.
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if(PositionSelect(_Symbol)) {
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if(PositionGetInteger(POSITION_MAGIC) == MagicNumber) {
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positionOpen = true;
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lastBarTime = currentBarTime;
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return;
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}
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}
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positionOpen = false;
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lastBarTime = currentBarTime;
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//--- ⚡ Bolt: Consolidate CopyRates calls and use static buffer for performance.
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//--- Fetch 2 bars at once to avoid fetching unused data (index 2 was never used).
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static MqlRates rates[];
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static double upperBand[], lowerBand[], emaFast[], emaSlow[], atr[];
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static bool firstTick = true;
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if(firstTick)
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{
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ArraySetAsSeries(rates, true);
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ArraySetAsSeries(upperBand, true);
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ArraySetAsSeries(lowerBand, true);
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ArraySetAsSeries(emaFast, true);
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ArraySetAsSeries(emaSlow, true);
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ArraySetAsSeries(atr, true);
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firstTick = false;
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}
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if(CopyRates(_Symbol, _Period, 0, 2, rates) <= 0) return; // Fetch 2 bars
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//--- Get primary signal indicator values (Donchian)
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// ⚡ Bolt: Fetch 2 bars for both bands.
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if(CopyBuffer(donchianBandsHandle, 1, 0, 2, upperBand) <= 0) return;
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if(CopyBuffer(donchianBandsHandle, 2, 0, 2, lowerBand) <= 0) return;
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//--- Preliminary Donchian Breakout Detection (without confirmation)
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bool buyBreakout = (rates[1].close > upperBand[1] && rates[0].close > rates[1].close);
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bool sellBreakout = (rates[1].close < lowerBand[1] && rates[0].close < rates[1].close);
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bool buySignal = false;
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bool sellSignal = false;
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//--- ⚡ Bolt: Lazy load confirmation indicators only if a breakout occurs.
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if(buyBreakout || sellBreakout)
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{
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//--- Get Lower TF Confirmation indicator values
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// ⚡ Bolt: Only fetch 2 bars instead of 3 to improve efficiency.
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if(CopyBuffer(emaFastHandle, 0, 0, 2, emaFast) <= 0) return;
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if(CopyBuffer(emaSlowHandle, 0, 0, 2, emaSlow) <= 0) return;
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//--- Lower TF Confirmation: Check EMA direction
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bool bullishConfirmation = (emaFast[0] > emaSlow[0] && emaFast[1] > emaSlow[1]);
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bool bearishConfirmation = (emaFast[0] < emaSlow[0] && emaFast[1] < emaSlow[1]);
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//--- Final Signal Calculation
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buySignal = buyBreakout && bullishConfirmation;
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sellSignal = sellBreakout && bearishConfirmation;
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}
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//--- BOLT Optimization: Pass pre-fetched indicator values to trade functions to avoid redundant CopyBuffer() calls in a hot path.
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//--- Execute trades
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if(buySignal || sellSignal)
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{
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//--- ⚡ Bolt: Defer price and indicator assignments until a signal is confirmed.
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//--- Use SymbolInfoTick for efficient retrieval of current prices.
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MqlTick lastTick;
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if(!SymbolInfoTick(_Symbol, lastTick)) return;
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double ask = lastTick.ask;
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double bid = lastTick.bid;
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double latestUpperBand = upperBand[0];
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double latestLowerBand = lowerBand[0];
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//--- ⚡ Bolt: Defer ATR calculation until a signal is confirmed to avoid unnecessary calls.
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if(CopyBuffer(atrHandle, 0, 0, 1, atr) <= 0) return;
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//--- ⚡ Bolt: Performance optimization - fetch account info once before trade execution.
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double accountBalance = AccountInfoDouble(ACCOUNT_BALANCE);
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double accountEquity = AccountInfoDouble(ACCOUNT_EQUITY);
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double freeMargin = AccountInfoDouble(ACCOUNT_MARGIN_FREE);
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if(buySignal) {
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OpenBuyTrade(ask, atr[0], latestUpperBand, latestLowerBand, accountBalance, accountEquity, freeMargin);
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}
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else { // sellSignal must be true
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OpenSellTrade(bid, atr[0], latestUpperBand, latestLowerBand, accountBalance, accountEquity, freeMargin);
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}
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}
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}
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//+------------------------------------------------------------------+
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//| Open Buy Trade |
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//+------------------------------------------------------------------+
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void OpenBuyTrade(double ask, double latestAtr, double latestUpperBand, double latestLowerBand, double accountBalance, double accountEquity, double freeMargin)
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{
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//--- Calculate Stop Loss
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double sl = CalculateSL(ask, false, latestAtr);
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if(sl <= 0) return;
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//--- Calculate Take Profit
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double tp = CalculateTP(ask, sl, false, latestUpperBand, latestLowerBand);
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if(tp <= 0) return;
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//--- Normalize prices
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sl = NormalizeDouble(sl, g_digits);
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tp = NormalizeDouble(tp, g_digits);
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//--- Calculate lot size
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double lots = CalculateLots(ask - sl, accountBalance, accountEquity, freeMargin);
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if(lots <= 0) return;
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//--- Open buy position
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if(trade.Buy(lots, _Symbol, ask, sl, tp, TradeComment)) {
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Print("Buy order opened: Lots=", lots, " SL=", sl, " TP=", tp);
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if(ShowAlerts) Alert("SMC EA: Buy order opened on ", _Symbol);
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}
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else {
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Print("Error opening buy order: ", trade.ResultRetcodeDescription());
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}
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}
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//+------------------------------------------------------------------+
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//| Open Sell Trade |
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//+------------------------------------------------------------------+
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void OpenSellTrade(double bid, double latestAtr, double latestUpperBand, double latestLowerBand, double accountBalance, double accountEquity, double freeMargin)
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{
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//--- Calculate Stop Loss
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double sl = CalculateSL(bid, true, latestAtr);
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if(sl <= 0) return;
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//--- Calculate Take Profit
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double tp = CalculateTP(bid, sl, true, latestUpperBand, latestLowerBand);
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if(tp <= 0) return;
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//--- Normalize prices
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sl = NormalizeDouble(sl, g_digits);
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tp = NormalizeDouble(tp, g_digits);
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//--- Calculate lot size
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double lots = CalculateLots(sl - bid, accountBalance, accountEquity, freeMargin);
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if(lots <= 0) return;
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//--- Open sell position
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if(trade.Sell(lots, _Symbol, bid, sl, tp, TradeComment)) {
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Print("Sell order opened: Lots=", lots, " SL=", sl, " TP=", tp);
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if(ShowAlerts) Alert("SMC EA: Sell order opened on ", _Symbol);
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}
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else {
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Print("Error opening sell order: ", trade.ResultRetcodeDescription());
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}
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}
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//+------------------------------------------------------------------+
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//| Calculate Stop Loss |
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//+------------------------------------------------------------------+
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double CalculateSL(double price, bool isSell, double latestAtr)
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{
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double sl = 0;
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//--- ⚡ Bolt: Refactored for performance and DRY principle.
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//--- Merged SL_ATR and SL_SWING as their core logic is identical.
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if(SLMode == SL_ATR || SLMode == SL_SWING)
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{
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if(latestAtr <= 0) return 0; // Basic validation for ATR-based modes.
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double atrOffset = latestAtr * ATR_SL_Mult;
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double swingBuffer = (SLMode == SL_SWING) ? g_swingSLBuffer : 0;
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if(isSell) {
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sl = price + atrOffset + swingBuffer;
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} else {
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sl = price - atrOffset - swingBuffer;
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}
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}
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else if(SLMode == SL_FIXED_POINTS)
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{
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if(isSell) {
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sl = price + g_fixedSL;
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} else {
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sl = price - g_fixedSL;
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}
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}
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return sl;
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}
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//+------------------------------------------------------------------+
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//| Calculate Take Profit |
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//+------------------------------------------------------------------+
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double CalculateTP(double price, double sl, bool isSell, double latestUpperBand, double latestLowerBand)
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{
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double tp = 0;
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double slDistance = MathAbs(price - sl);
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if(TPMode == TP_RR) {
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if(isSell) {
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tp = price - (slDistance * RR);
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} else {
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tp = price + (slDistance * RR);
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}
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}
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else if(TPMode == TP_FIXED_POINTS) {
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if(isSell) {
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tp = price - g_fixedTP;
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} else {
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tp = price + g_fixedTP;
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}
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}
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else if(TPMode == TP_DONCHIAN_WIDTH) {
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//--- ⚡ Bolt: Bug fix for infinite recursion and performance improvement.
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//--- Use pre-fetched indicator values instead of new CopyBuffer calls.
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//--- If values are invalid, fall back *directly* to RR calculation to avoid recursion.
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if(latestUpperBand <= 0 || latestLowerBand <= 0) {
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// Fallback to RR directly
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if(isSell) {
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tp = price - (slDistance * RR);
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} else {
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tp = price + (slDistance * RR);
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}
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}
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else {
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double donchianWidth = (latestUpperBand - latestLowerBand) * DonchianTP_Mult;
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if(isSell) {
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tp = price - donchianWidth;
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} else {
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tp = price + donchianWidth;
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}
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}
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}
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return tp;
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}
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//+------------------------------------------------------------------+
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//| Calculate Lot Size |
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//+------------------------------------------------------------------+
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double CalculateLots(double slDistance, double accountBalance, double accountEquity, double freeMargin)
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{
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if(slDistance <= 0 || g_lotRiskFactor <= 0) return 0;
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//--- Get account balance/equity from parameters
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double balanceOrEquity = RiskUseEquity ? accountEquity : accountBalance;
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//--- ⚡ Bolt: Optimized lot calculation using pre-calculated constants.
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//--- Replacing division with multiplication by g_lotRiskFactor.
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double lots = (balanceOrEquity * g_lotRiskFactor) / slDistance;
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//--- ⚡ Bolt: Optimize margin clamping and normalization flow.
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//--- Move margin check before normalization to avoid redundant calculations.
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//--- Use g_invMarginInitial multiplication instead of division.
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if(RiskClampToFreeMargin && g_invMarginInitial > 0) {
|
|
double maxLotsByMargin = freeMargin * g_invMarginInitial;
|
|
if(lots > maxLotsByMargin) lots = maxLotsByMargin;
|
|
}
|
|
|
|
//--- ⚡ Bolt: Consolidate lot normalization and clamping into a single path.
|
|
lots = MathFloor(lots * g_invLotStep) * g_lotStep;
|
|
lots = MathMax(g_finalMinLot, MathMin(lots, g_finalMaxLot));
|
|
|
|
return NormalizeDouble(lots, 2);
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|